Method and interface for consolidating price levels on a trading screen

ABSTRACT

A trading screen may display price and quantity information for price levels in a static axis of prices. The static axis of prices may be divided into two or more different regions. The price and quantity information for one or more of the regions may be consolidated from price and quantity information from plurality of un-consolidated price levels.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.13/850,874, filed Mar. 26, 2013, now U.S. Pat. No. 8,744,950, which is acontinuation of U.S. patent application Ser. No. 13/454,586, filed Apr.24, 2012, now U.S. Pat. No. 8,429,062, which is a continuation of U.S.patent application Ser. No. 12/907,087, filed Oct. 19, 2010, now U.S.Pat. No. 8,195,554, which is a continuation of U.S. patent applicationSer. No. 12/502,408, filed Jul. 14, 2009, now U.S. Pat. No. 7,844,532,which is a continuation of U.S. patent application Ser. No. 11/415,966,filed May 2, 2006, now U.S. Pat. No. 7,577,607, which is a continuationof U.S. patent application Ser. No. 10/304,248, filed Nov. 26, 2002, nowU.S. Pat. No. 7,577,602, the contents of all of which are fullyincorporated herein by reference for all purposes.

FIELD OF THE INVENTION

The present invention relates generally to electronic trading. Morespecifically, it relates to a method for displaying trading information.

BACKGROUND OF THE INVENTION

Many exchanges throughout the world now support electronic trading.Generally, an electronic exchange provides a matching process betweentraders, or simply buyers and sellers. Some well known exchanges includeEurex, London International Financial Futures Exchange (“LIFFE”),Euronext, Chicago Mercantile Exchange (“CME”), Chicago Board of Trade(“CBOT”), Xetra, and Island. Traders are typically connected to anelectronic exchange by way of a communication link to facilitateelectronic messaging between the trader and the exchange.

For instance, the trader might submit buy or sell orders to anelectronic exchange and later obtain status or fill information from theexchange. Among other things, ease of submitting buy or sell orders hasmade electronic exchanges a successful venue for trading. Accordingly,an increasing number of people across the world are activelyparticipating in a market at any given time. The increase in the numberof potential market participants has advantageously led to, among otherthings, a more competitive market and greater liquidity.

A trader can connect to an exchange, for example, using a client device,and the exchange can serve as a host. Once connected, software runningon the client allows the trader to log onto one or more exchanges andparticipate in one or more markets. Some clients run software thatcreates specialized interactive trading screens. In general, the tradingscreens enable traders to enter orders into the market, obtain marketquotes, and monitor positions. The range and quality of featuresavailable varies according to the specific trading application.

One such feature generally displayed by a trading screen is the currentmarket depth, which includes a number of price levels and theoutstanding bid or ask quantities corresponding to the price levels.While the market may include outstanding bid and ask quantities at amultitude of different price levels, the trading screen may not bephysically large enough to accommodate displaying all of the differentprice levels and their outstanding bid or ask quantities. Thus, atrading screen typically displays a range of price levels around theinside market.

Displaying a small range of price levels around the inside market,however, may provide a trader with a narrow view of the market. Thetrader may view the market depth around the inside market, but thetrader may not be able to see the outstanding market depth at pricelevels further away from the inside market. This problem may beaccentuated depending on the “tick” size used by the market or theclient software. A tick generally refers to the smallest tradeable pricelevel graduation in the market.

A market may use any measure for a tick. For example, a tick mayrepresent a fraction of a dollar or another currency, or a tick mayrepresent a decimal portion of a dollar or another currency. Whendisplaying smaller ticks, the trading screen displays an increasinglynarrow view of the current market. For example, using a graduation ofone cent, a trader may only be able to see price levels a few cents awayfrom the inside market. The market, however, may have bids and asksoutstanding over a range of several dollars away from the inside market,but the trader may not be able to see these other outstanding bids andasks due to the narrow range of price levels within the viewable area ofthe trading screen.

In the following detailed description, a trading application and tradinginterface for displaying consolidated price and quantity information aredescribed. These tools provide advantages, as described below, to atrader in an electronic trading environment.

BRIEF DESCRIPTION OF THE DRAWINGS

The presently preferred embodiments of the present invention aredescribed herein with reference to the drawings, in which:

FIG. 1 is a trading screen configurable for two or more display regionsin which at least one of the display regions uses consolidation;

FIG. 2 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which two of the display regionsuse consolidation with the same consolidation scale;

FIG. 3 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which two of the display regionsuse consolidation with different consolidation scales;

FIG. 4 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which each of the displayregions use consolidation and in which each of the display regions usesa different consolidation scale;

FIG. 5 is a preferred embodiment of the trading screen of FIG. 1configured for four display regions in which three of the displayregions use consolidation; and

FIG. 6 is a preferred embodiment of the trading screen of FIG. 2configured with a single adjustable feature for changing theconsolidation scale of the display regions.

DETAILED DESCRIPTION OF THE PRESENTLY PREFERRED EMBODIMENTS

Many different exchanges support electronic trading. Electronic tradingallows a trader to interact with the exchanges from a remote location,such as by using a computer connected to the exchanges over one or morecomputer networks. Once connected to an exchange, the trader may receivemarket information about tradeable objects that are traded on theexchange. The trader may additionally trade the tradeable objects, suchas by entering buy or sell orders.

A tradeable object can be any object, such as stocks, options, bonds,futures, currency, warrants, funds, or other financial objects. Otherobjects, for example, grains, energy and metals can also be traded. Ofcourse, these lists are not exhaustive, and any other object for whichthere exists a market can be traded. Tradeable objects can be “real,”such as products that are listed by an exchange for trading, or they canby “synthetic,” such as a combination of real products that is createdby a trader, firm, broker or the like. Of course, a tradeable objectcould actually be a combination of other tradeable objects, such as aclass of tradeable objects.

Electronic trading exchanges are generally based on one or more hosts,one or more computer networks, and a plurality of clients. In general,the host includes one or more centralized computers. Its operations mayinclude order matching, maintaining order books and positions, priceinformation, and managing and updating, for example a database, thatrecords such information. The host may also be equipped with an externalinterface that maintains uninterrupted contact to the clients andpossibly other trading-related systems.

Market participants may link to the host through one or more networks. Anetwork is a group of two or more computers linked together. There aremany types of networks such as local area networks and wide areanetworks. Networks can also be characterized by topology, protocol, andarchitecture. However, any type of network configuration can be used inelectronic trading. For example, some market participants may link tothe host through a direct connection such as a T1 line or an IntegratedDigital Services Network (“ISDN”) connection. When connecting through adirect connection, a market participant may connect through one or morecommon network components such as high-speed servers, routers, andgateways, and so on. Of course, a market participant may also connect tothe exchange through the Internet or another type of network.

A method, system and interface for electronic trading with an exchangeis described in U.S. patent application Ser. No. 09/590,692, filed Jun.9, 2000, entitled “Click Based Trading with Intuitive Grid Display ofMarket Depth.” This application is commonly assigned to TradingTechnologies International, Inc., and it is incorporated herein byreference in its entirety. This application describes networktopologies, interfaces and general trading functionality and techniquesthat may be used in implementing the preferred embodiments describedherein.

Once connected to an exchange, a trading application may use tradingscreens to enable a trader to interact with one or more markets. Tradingscreens may enable traders to enter and cancel orders, obtain marketinformation, and monitor positions while implementing various tradingstrategies including those previously used on the floor of an exchange.For example, using the trading screen a trader may receive informationabout tradeable objects traded on the exchange. Additionally, the tradermay use the trading screen, for example, to place buy and sell ordersfor the tradeable objects or to otherwise trade the tradeable objects.

The trading application may receive information from the exchange, whichcan in turn be displayed to the trader. For example, the tradingapplication may receive a list of tradeable objects traded on theexchange. Additionally, the trading application may receive marketinformation for each tradeable object, such as bid prices, bidquantities, ask prices, ask quantities, and additionally, some exchangesprovide prices and quantities for past sales, and other market relatedinformation. The information may be continuously or regularly providedto the trading application, which allows the trading application toupdate the trading screen with current market information.

Using the information provided by the exchange, the trading screen maydisplay a range of price levels and corresponding bid and ask quantitiesfor the price levels in regard to tradeable objects. Oftentimes,however, the physical display size of the trading screen is limited, andthe trading screen is unable to display all the different price levelsand their corresponding bid or ask quantities. In order to provide thetrader with pertinent trading information, the trading screen maydisplay a range of prices around the inside market. The trading screenmay also display the bid and ask quantities corresponding to these pricelevels.

The market, however, may have a number of other price levels withoutstanding bid or ask quantities that are not displayed in the rangearound the inside market. As these price levels and quantities are notdisplayed, the trader cannot view this information. Thus, the trader mayonly view a narrow range of price levels and corresponding quantitiesaround the inside market but not see trading information displayed atprice levels further away from the inside market. This problem may befurther accentuated based on the tick size for the market. As the ticksize decreases, the trader sees an increasingly narrow view of themarket. Also, as the tick size decreases, the trader may be more willingto trade at price levels further away from the inside market, becausethe change in price levels may then only correspond to a small change inthe actual price of the tradeable object. Thus, it may be advantageousfor the trader to view the market depth at price levels further awayfrom the inside market.

One way to enhance a trading screen's display of the current marketdepth is through price consolidation. One such trading screen thatimplements price consolidation is described in U.S. patent applicationSer. No. 09/971,087, entitled “Click Based Trading With Intuitive GridDisplay of Market Depth and Price Consolidation,” filed on Oct. 5, 2001.This application is commonly assigned to Trading TechnologiesInternational, Inc., and it is incorporated herein by reference in itsentirety.

In price consolidation, two or more price levels may be combined into asingle “consolidated” price level. The outstanding bid or ask quantityof the consolidated price level may then be the sum of the outstandingquantities of the un-consolidated price levels combined to form theconsolidated price level. Using price consolidation, a trading screenmay then display information from a greater number of price levels onthe trading screen than it would be able to if it did not use priceconsolidation. The methods and displays described in “Click BasedTrading With Intuitive Grid Display of Market Depth and PriceConsolidation” allow a trader to advantageously use price consolidationto view outstanding quantities over a greater range of price levels.

“Click Based Trading With Intuitive Grid Display of Market Depth andPrice Consolidation” describes a method of price consolidation where thenumber of un-consolidated price levels combined to form a consolidatedprice level may vary, but each price level is formed from the samenumber of un-consolidated price levels as the other consolidated pricelevels. For example, if each consolidated price level were formed fromtwo un-consolidated price levels, the trading screen would be able todisplay information for twice the number of price levels as a tradingscreen that did not use price consolidation.

That application also describes example equations that can be used inconsolidating price levels. In addition to the equations described inthat application, the following definitions and equations, which provideimproved handling of negative prices, can also be used:

P=Price (in ticks)

N=Variable increment chosen by the trader (number of ticks perconsolidated price)

Bcp=Consolidated price row with corresponding bid quantity (in ticks)

Acp=Consolidated price row with corresponding ask quantity (in ticks)

Floor=Floor function

Os=Offset (# ticks)Bcp=Floor((P−Os)/N)N+OsAcp=Floor(((P−Os)+N−1)/N)N+Os

As the trader may want to place orders at the price levels close to theinside market, it may be important to the trader to have a higherresolution closer to the inside market or even to view un-consolidatedquantities near the inside market. Additionally, the trader may want toplace orders closer to the inside market by using an increasedconsolidation price level resolution or even to place orders byspecifying specific un-consolidated price levels. At the same time, thetrader may want to use price consolidation to view information at pricelevels further away from the inside market than could be displayed on atrading screen that didn't use price consolidation.

While the “Click Based Trading With Intuitive Grid Display of MarketDepth and Price Consolidation” application describes a method foradvantageously applying price consolidation to all the price levels of atrading screen, it would be still more advantageous to provide thetrader with a method of price consolidation that allows the trader tohave a high resolution near the inside market (or other arbitrarilydefine area) while still using price consolidation to view a greaternumber of price levels on the trading screen, such as those further awayfrom the inside market. One way to allow the trader to increase theresolution closer to the inside market while still using priceconsolidation to view information for price levels further away from theinside market is to use a trading screen having two or more displayregions using different consolidation resolutions.

FIG. 1 is a trading screen configurable for two or more display regionsin which at least one of the display regions uses consolidation. Thetrading screen of FIG. 1 may be used, for example, to increase theresolution at an area surrounding the inside market, while still usingprice consolidation to allow the trader to view information from pricelevels further away from the inside market.

As shown in FIG. 1, the trading screen includes a price column 100,which may be used to display a range of price levels for a tradeableobject. As depicted in FIG. 1, each of the price levels displayed in theprice column 100 corresponds to one tick. Thus, the price levels shownin FIG. 1 are un-consolidated, and they represent the smallestgraduation of price levels tradeable in the market.

The trading screen also includes an ask quantity column 102 and a bidquantity column 104. The ask quantity column 102 displays current askquantities at various different price levels. The bid quantity column104 displays current bid quantities at various different price levels.Thus, the ask quantity column 102 and the bid quantity column 104display the current market depth. The bid and ask quantities in the bidand ask quantity columns 102, 104 may be displayed using any type ofindicator. For example, the indicator may be graphical representation ofquantity (e.g., colors, bars, etc. . . . ), or the indicator may be atextual representation of quantity, such as a number. Variouscombinations of indicators may also be used, for example, a textrepresentation in combination with a color.

As depicted in FIG. 1, the outstanding bid quantities and ask quantitiesare displayed in association with price levels arranged along a commonstatic axis or scale of prices. The price levels are fixed in relationto the bid and ask quantity columns 102, 104, such that the indicatorsin these columns 102, 104 may move relative to the static axis ofprices. For example, the bid and ask quantities displayed by the tradingscreen may change, and the inside market may move away from the pricelevel depicted in FIG. 1. While the trading application may update thequantities, and while the position of the inside market may change, therange of price levels displayed in the price column 100 and therespective positions of the price levels displayed in the price column100 may remain fixed.

It should be noted that the static axis of prices is not necessarilyimmovable with respect its physical position on the display screen, butrather may be moved to various different positions on the display. Theuser may use a mouse or other input device, for example, to repositionstatic axis of prices to a different location on the display screen,such as by dragging the static axis of prices from one side of thedisplay screen to the other side of the display screen. In anotherexample, the user may vary which portion of the static axis of prices isdisplayed, such as by scrolling up or down the axis or by entering arepositioning command.

One commercially available trading application that allows a user totrade in an electronic trading environment, and which may be used in thepreferred embodiments, is X_TRADER® from Trading TechnologiesInternational, Inc. of Chicago, Ill. X_TRADER® also provides anelectronic trading interface, referred to as MD Trader™, in whichworking orders and/or bid and ask quantities are displayed inassociation with a static price axis or scale. It should be understood,however, that the preferred embodiments are not limited to anyparticular display, such as X_TRADER® or MD Trader™-style displays, butmay be used with a variety of different display types.

Portions of the X_TRADER® and the MD Trader™-style display are describedin the previously referenced applications. Moreover, the tradingapplication may implement tools for trading tradeable objects that aredescribed in a U.S. patent application Ser. No. 10/125,894, titled“Trading Tools for Electronic Trading,” and filed Apr. 19, 2002. Thisapplication is commonly assigned to Trading Technologies International,Inc., and it is incorporated by reference herein in its entirety.

The trading screen may also include a variety of other columns, whichmay be used to display other information to a trader. For example, asdepicted in FIG. 1, the trading screen includes a working orders column106 that may be used to display orders placed by a trader at a pricelevel that have not yet been matched in the market. The working ordercolumn 106 is merely one example, and many other columns may bedisplayed in addition to the working order column 106 or in place of theworking order column 106.

Other changes may also be made. In a preferred embodiment, as shown inFIG. 1, the trading screen displays a static price column 100 and theask and bid quantities are displayed with respect to the static axis ofprices. In an alternate embodiment, the ask and bid quantities may bedisplayed with respect to a static axis of prices, but the price column100 is not actually displayed. In yet another alternate embodiment, theprice column 100 may be dynamically displayed so that the inside marketremains centered at a position in the trading screen's display. Inanother alternate embodiment, one or both of the quantities columns 102,104 may be omitted from the display.

Additionally, the orientation of the trading screen may be altered. Forexample, while FIG. 1 depicts the columns 100, 102, 104, 106 in avertical orientation, they may alternatively be arranged in a horizontalorientation. In yet another alternate embodiment, the columns 100, 102,104, 106 may be arranged in an oblique orientation or using another typeof display format. In yet another alternate embodiment, the order of thecolumns 100, 102, 104, 106 may be rearranged. In another alternateembodiment, two or more of the columns 100, 102, 104, 106 may overlap.

The trading screen of FIG. 1 may be configured to display two or moredifferent display regions, which may be sub-regions of the price column100. The display regions may be used to display the un-consolidatedprice levels of FIG. 1, or they may display consolidated price levelsformed by combining two or more of the un-consolidated price levels ofFIG. 1. In a preferred embodiment, at least one of the display regionsdisplays un-consolidated price levels, while one or more other displayregions display consolidated price levels. In another preferredembodiment, all of the display regions display consolidated pricelevels, and the display regions may use different consolidation scales.

FIG. 2 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which two of the display regionsuse consolidation with the same consolidation scale. As shown, a firstdisplay region 108 is centered with respect to the range of price levelsdisplayed in the price column 100. The first display region 108,however, is not confined to being centered with respect to the pricecolumn 100. It may be offset from the center of the price level range,it may be offset from the inside market, or it may not include theinside market at all. As depicted in FIG. 1, the first display region108 includes the inside market, and the trading screen does not coalesceprice levels in the first display region 108. This allows the trader toview the price levels near the inside market with the greatestprecision. In alternate embodiments, and as will be described later, thefirst display region 108 may also consolidate price levels.

The trading screen of FIG. 2 further includes a second display region110 and a third display region 112. As shown in FIG. 2, the seconddisplay region 110 is generally located above the first display region108, and the third display region 112 is generally located below thefirst display region 108. It should be understood, however, that thedescribed locations of the first, second and third display regions 108,110, 112 are merely arbitrary in nature, and their respective locationson a trading screen may be varied.

The second and third display regions 110, 112 may each respectivelyinclude consolidated price levels, which may be formed by combining twoor more adjacent price levels into a single price level. As shown inFIG. 2, the consolidated price levels in the second and third displayregions 110, 112 are each formed by consolidating two of the pricelevels in the trading screen of in FIG. 1. The price levels in thesecond and third display regions 110, 112, however, may be formed byconsolidating more than two price levels, thereby changing the scale ofthe second or third display regions 110, 112. By consolidating pricelevels in the second and third display regions 110, 112, the tradingscreen may display information from more un-consolidated price levelswhile still displaying the same number of physical price levels on thetrading screen. This may advantageously allow a trader to view marketinformation for price levels further away from the inside market.Various changes, such as the number of regions or their consolidationscales, may also be made.

FIG. 3 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which two of the display regionsuse consolidation with different consolidation scales. The tradingscreen depicted in FIG. 3 includes the first display region 108, thesecond display region 110, and the third display region 112. In thisembodiment, the second and third display regions 110, 112 are eachformed by consolidating a different number of price levels. The pricelevels in the second display region 110 are formed by combining fourprice levels into a single consolidated price level, and the pricelevels in the third display region 112 are formed by combining two pricelevels into a single consolidated price level.

By using different scales in the second and third display regions 110,112, the trader may be able to see different ranges of price levelsabove and below those displayed in the first display region 108. As thesecond display region 112 consolidates more price levels than the thirddisplay region 110, the trader is able to see information formed frommore un-consolidated price levels above the first display region 108than below the first display region 108. The range of un-consolidatedprice levels combined into the second and third display regions 110, 112may be varied based on the scale used by the second and third displayregions 110, 112. Combining four and two rows respectively for thesecond and third display regions 110, 112 is merely an example, andother scales may be used as well.

FIG. 4 is a preferred embodiment of the trading screen of FIG. 1configured for three display regions in which each of the displayregions uses consolidation and in which each of the display regions usesa different consolidation scale. FIG. 4 also depicts the first displayregion 108, the second display region 110 and the third display region112. As shown in FIG. 4, each of the first, second and third displayregions 108, 110, 112 combine two or more price levels to formconsolidated price levels, which are then displayed in their respectivedisplay regions.

Thus, in this display, the price levels in the first display region 108around the inside market are consolidated price levels formed bycombining two of the price levels shown in FIG. 1. However,consolidating two price levels is merely an example, and any number ofprice levels may be combined to form the consolidated price levels inthe first display region 108. The second and third display regions 110,112 each include consolidated price levels. The second display region110 is formed by combining four price levels, while the third displayregion 112 is formed by combining eight price levels. In alternateembodiments, the number of un-consolidated price levels combined to formthe consolidated price levels may be the different for the second andthird display regions 110, 112, or the second or third display regions110, 112 may not use consolidation at all.

FIG. 5 is a preferred embodiment of the trading screen of FIG. 1configured for four display regions in which three of the displayregions use consolidation. FIG. 5 depicts the first, second and thirddisplay regions 108, 110, 112, and in addition to these regions it alsodisplays a fourth display region 114. The fourth display region 114displayed in FIG. 5 is located above the second display region 110, butit should be understood that the fourth display region 114 may belocated at any position on the trading screen. The fourth display region114 may be configured, for example, to have a different scale than thesecond display region, thereby differentiating the fourth display region114 from the adjacent second display region 110.

In a preferred embodiment, as shown in FIG. 5, the fourth display region114 may use a larger scale than the second display region, therebyallowing the trading screen to display information for even a greaternumber of price levels away from the inside market. Thus, the resolutionof the price levels may decrease further away from the inside market.For example, the first display region 108 may have the greatestresolution by not consolidating any price levels or by combining only asmall number of price levels into each consolidated price level. Theresolution may then decrease in the second display region 110, which maycombine a greater number of price levels than was used by the firstdisplay region 108 to form the consolidated price levels. The fourthdisplay region 114 may then also combine a greater number of pricelevels to form its consolidated rows that was used by the second displayregion 110, thereby giving the fourth display region 114 a lowerresolution than the second display region 110. It is not necessary,however, that the consolidation resolution decrease away from the insidemarket. Rather, any combination of arbitrary consolidation resolutions,or no consolidation at all, may be used for the different displayregions 108, 110, 112, 114.

The display regions 108, 110, 112, 114, in the various trading screenembodiments may be configured by a user. For example, the tradingapplication may be preprogrammed with a default configuration, which maybe used when the trading application initially displays the tradingscreen. The default configuration may also be changed by the user. Oncethe trading screen is displayed to the user, the user may furtherreconfigure the trading screen, such as by adding or removing displayregions or by changing various properties of one or more of the displayregions 108, 110, 112, 114.

The user may add or remove display regions in a variety of differentways. In one embodiment, the trading screen may display one or moreconfiguration screens in which the user may manually enter informationto configure the number and location of the display regions. Forexample, the user may enter a number of regions to be displayed on thetrading screen, and the user may further enter beginning and endingprice levels for the display regions. The ranges specified by the usermay be static and thus not change based on the movement of the insidemarket, or alternatively the ranges specified by the user maydynamically change based on the movement of the inside market. Thetrader may also use the configuration screens to remove one or more ofthe display regions.

In another embodiment, the user may configure the number and location ofthe display regions directly from the trading screen. For example, theuser may select a beginning price level and ending price level for adisplay region. This may be done, for instance, using a mouse or otherinput device. Using the input device, the trader may select a beginningprice level for the display region, such as by clicking a mouse buttonon the beginning price level in combination with one or more other keys.The trader may then also select an ending price level for the displayregion, such be clicking a mouse button on the ending price level incombination with one or more other keys. Once the user makes theselection of the beginning and ending price levels, the tradingapplication may responsively create and display the display region. Thetrader may similarly remove a display region, such as by clicking on apoint within the display region in combination with one or more otherkeys.

In another embodiment, the trader may configure a display region byusing an input device to highlight one or more price levels. Forexample, the trader may use the input device to click on a beginningprice level, perhaps also in combination with one or more other keys,and then drag the input device to an ending price level. Once the traderhas selected the price levels in the manner, the trading application mayresponsively create a display region in the area selected by the user.These methods of creating a display region are merely examples, and manyother ways of selecting a range of price levels to create a displayregion also exist.

Once the user has created a display region, the user may configurevarious properties for the display region. For example, the user mayspecify whether the display region remains fixed with respect to aparticular range of prices or whether the display region may dynamicallychange price levels, such as in response to a change in position of theinside market. In another example, the regions may be color-coded, suchas by using different colors to correspond to the differentconsolidation scales used by the various display regions. The user mayselect the colors corresponding to the different display regionsdirectly, or the user may associate different colors with differentscales that are then used automatically by the trading applicationdepending on the chosen scale for the display regions.

In another example, the user may configure the scale of the displayregion, such as by specifying a number of un-consolidated price levelsto be combined into consolidated price levels for the display region.Alternatively, the user may select the scale such that no price levelsare combined to form a consolidated price level in the display region.

The user may adjust the scale of a display region in a variety ofdifferent ways. In one embodiment, as previously described, the user mayuse a configuration screen to enter information for the display region,such as the scale of the display region. In a preferred embodiment, thetrading screen displays one or more adjustable features, which may beused to set the scale of a display region. The adjustable features maytake many different forms. For example, an adjustable feature may betext box, in which the user may type a scale for the display region. Forinstance, by entering “2” into the text box, the user may specify thattwo un-consolidated price levels should be combined to form a singleconsolidated price level. The text box may include selection arrows,such as can be selected using an input device in order to adjust thevalue displayed in the text box up or down without requiring the user tomanually type a value into the text box.

In another example, an adjustable feature may be a slideable bar. Oncesuch implementation of a slideable bar used for price consolidation isdescribed in the “Trading Tools for Electronic Trading” application. Theslideable bar may be adjusted between two endpoints, such as by using amouse or other input device. The position of the slideable bar may thendetermine the scale used for a display region. For example, one endpointmay correspond to a first scale for the display region, and the secondendpoint may correspond to a second scale for the scale region.Intermediate points between the first and second endpoints may thencorrespond to scales between the first and second scale. While thescales corresponding to the endpoints, as well as the number ofintermediate points between the endpoints, may be set to a defaultvalues, these parameters may also be adjust by the user, for example,through a configuration screen.

In one preferred embodiment, the trading screen displays a separateadjustable feature for each display region. This may allow a user toeasily adjust the scale of any of the display regions on the tradingscreen without having to enter a separate configuration screen. Inanother preferred embodiment, the trading screen displays a singleadjustable feature for corresponding to one or more of the displayregions.

FIG. 6 is a preferred embodiment of the trading screen of FIG. 2configured with a single adjustable feature for changing theconsolidation scale of the display regions. The trading screen depictedin FIG. 6 includes an adjustable feature 116, which may be used tochange the scale of the display regions 108, 110, 112. Thus, the usermay use the adjustable feature 116 to alter the number of price levelsthat are combined in order to form a consolidated price level in aparticular display region 108, 110, 112. The user may select a displayregion 108, 110, 112, such as by clicking on the display region 108,110, 112 in combination with one or more other keys. The user may thenadjust the scale of the display region using the adjustable feature 116.After selecting another display region 108, 110, 112, the user may thenuse the same adjustable feature 116 to adjust the scale of the otherdisplay regions. In another embodiment, the adjustable feature 116 maybe used to simultaneously adjust the scale of more than one displayregion, such as by making a proportional change in scale to each of thedisplay regions in response to an adjustment of the adjustable feature116.

In addition to configuring appearance of the display regions 108, 110,112, the user may additionally configure trading options for the displayregions 108, 110, 112. The user may, for example, place trades directlyfrom the display screen, such as by using a mouse or other input deviceto select a cell in the ask quantity column 102 or the bid quantitycolumn 104. The user may additionally specify a quantity, or the usermay have pre-specified a default quantity for order placed from thetrading screen. When using a default quantity, the trading applicationmay automatically submit the user's order upon selecting one of thecells in the ask or bid quantity columns 102, 104, or alternatively, thetrading application may wait for the user to take an additional action.The order may then be submitted at the price corresponding to theselected cell.

The selected cell, however, may correspond to a consolidated pricelevel. So, an order placed at a consolidated price level may in fact beplaced at one or more of the price levels that are combined to form theconsolidated price level. Thus, the user may also configure how thetrading application handles orders at consolidated price levels, such asby specifying at which of the non-consolidated price levels an order issubmitted. Various different methods may be used to handle orders atconsolidated price levels. For example, the trading application maysubmit a limit order at the consolidated price level, or the tradingapplication may submit a limit order at one of the other un-consolidatedprice levels making-up the consolidated price level. In another example,the order quantity may be split among one or more of the un-consolidatedprice levels making-up the consolidated price level, such as in an equaldistribution or in any other possible combination. The distributionamong these price levels may be, for example, specified by the user.

In another embodiment for placing orders, the trader may select aconsolidated price level, such as by clicking on the price or quantityinformation for the consolidated price level. Instead of automaticallyplacing a trade using one of the previously described methods, thetrading screen may open another window showing the un-consolidated priceand quantities corresponding to the selected consolidated price level.Trader may then, for example, click in the quantity fields for one ormore of the un-consolidated price levels in order to place orders in thenormal fashion. The trader may then close the window after placing atrader, or they window may close automatically after the trader places atrade.

It should be understood that the programs, processes, methods andapparatus described herein are not related or limited to any particulartype of computer or network apparatus (hardware or software), unlessindicated otherwise. Various types of general purpose or specializedcomputer apparatus may be used with or perform operations in accordancewith the teachings described herein. While various elements of thepreferred embodiments have been described as being implemented insoftware, in other embodiments hardware or firmware implementations mayalternatively be used, and vice-versa.

In view of the wide variety of embodiments to which the principles ofthe present invention can be applied, it should be understood that theillustrated embodiments are exemplary only, and should not be taken aslimiting the scope of the present invention. For example, the steps ofthe flow diagrams may be taken in sequences other than those described,and more, fewer or other elements may be used in the block diagrams.

The claims should not be read as limited to the described order orelements unless stated to that effect. In addition, use of the term“means” in any claim is intended to invoke 35 U.S.C. § 112, paragraph 6,and any claim without the word “means” is not so intended. Therefore,all embodiments that come within the scope and spirit of the followingclaims and equivalents thereto are claimed as the invention.

I claim:
 1. A method including: displaying by a computing device atrading screen in a graphical user interface, wherein the trading screenis able to display in a viewable area of the trading screen a firstrange of price levels for a tradeable object along a price axis based ona tick size for the tradeable object, wherein the first range of pricelevels includes a first number of price levels; generating by thecomputing device a first consolidated price level, wherein the firstconsolidated price level represents a second range of price levels for atradeable object, wherein the second range of price levels representedby the first consolidated price level includes a first subset of thefirst range of price levels and a price level not in the first range ofprice levels, wherein the second range of price levels includes a secondnumber of price levels; generating by the computing device a firstconsolidated quantity indicator, wherein the first consolidated quantityindicator is based on a plurality of quantities at the price levels inthe second range of price levels; generating by the computing device aplurality of unconsolidated quantity indicators, wherein the each of theplurality of unconsolidated quantity indicators is based on acorresponding one of a plurality of quantities at the price levels in athird range of price levels for the tradeable object, wherein the thirdrange or price levels is a second subset of the first range of pricelevels, wherein the third range of price levels includes a third numberof price levels; displaying by the computing device in the viewable areaof the trading screen the first consolidated quantity indicator inassociation with the first consolidated price level along the price axisfor the tradeable object, wherein the first consolidated price level isdisplayed along the price axis in place of the second range of pricelevels; displaying by the computing device in the viewable area of thetrading screen the each of the plurality of unconsolidated quantityindicators in association with the corresponding price level of thethird range of price levels along the price axis for the tradeableobject; displaying by the computing device an adjustable feature in thetrading screen; receiving by the computing device a command through theadjustable feature of the trading screen; and dynamically altering bythe computing device, in response to receiving the command through theadjustable feature of the trading screen, at least one of the secondnumber of price levels in the second range of price levels and the thirdnumber of price levels in the third range of price levels based on thecommand.
 2. The method of claim 1, wherein the second number of pricelevels in the second range of price levels is configurable by a user,wherein the third number of price levels in the third range of pricelevels is configurable by the user.
 3. The method of claim 1, whereinthe second range of price levels is adjacent to the third range of pricelevels.
 4. The method of claim 1, wherein the second range of pricelevels includes at least one of a best bid price and a best ask pricefor the tradeable object.
 5. The method of claim 1, wherein the thirdrange of price levels includes at least one of a best bid price and abest ask price for the tradeable object.
 6. The method of claim 1,wherein the third range of price levels includes both a best bid priceand a best ask price for the tradeable object.
 7. The method of claim 1,wherein the second range of price levels corresponds to price levels ona buy side for the tradeable object, wherein the third range of pricelevels corresponds to price levels on a sell side for the tradeableobject.
 8. The method of claim 1, wherein the second range of pricelevels corresponds to price levels on a sell side for the tradeableobject, wherein the third range of price levels corresponds to pricelevels on a buy side for the tradeable object.
 9. The method of claim 1,wherein the second range of price levels and the third range of pricelevels change dynamically based on changes in at least one of a best bidprice and a best ask price for the tradeable object.
 10. The method ofclaim 1, wherein the price axis is a static price axis.
 11. The methodof claim 1, wherein the price axis is a dynamic price axis.
 12. Themethod of claim 1, wherein the price axis is a column of price levels.13. The method of claim 1, further including: generating by thecomputing device a first consolidated working order indicator, whereinthe first consolidated working order indicator is based on one or moreworking orders at the price levels in the second range of price levels;and displaying by the computing device in the viewable area of thetrading screen the first consolidated working order indicator inassociation with the first consolidated price level along the price axisfor the tradeable object.